A guide to Installing Knoppix is on the wiki:

http://www.knoppix.net/wiki/Hd_Install_HowTo

Once you have run
knoppix-installer

and completed the install, you will have the choice of installing the linux bootloader, grub.
Install this onto the mbr of your hard drive and next reboot you will have a choice of booting knoppix or XP.

You cant use XP to boot knoppix, it cannot read reiser, ext3 or other linux filesystems.HTH